IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v17y2024i5p214-d1398215.html
   My bibliography  Save this article

South African Real Estate Investment Trusts Prefer Tuesdays

Author

Listed:
  • Oluwaseun Damilola Ajayi

    (Department of Real Estate, School of Built Environment, London Metropolitan University, London N7 8DB, UK)

  • Emmanuel Kofi Gavu

    (Department of Land Economy, Kwame Nkrumah University of Science and Technology (KNUST), Kumasi PMB UPO, Ghana)

Abstract

This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues.

Suggested Citation

  • Oluwaseun Damilola Ajayi & Emmanuel Kofi Gavu, 2024. "South African Real Estate Investment Trusts Prefer Tuesdays," JRFM, MDPI, vol. 17(5), pages 1-18, May.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:214-:d:1398215
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/17/5/214/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/17/5/214/
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:214-:d:1398215. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.